Anyone who is remotely interested in internet marketing would have heard about "dofollow" blogs. There are more and more of these out there now, and there are quite a few custom search engines and directories dedicated to them.
While it's nice to get search engine juice from writing comments on these blogs - and I would never say that you shouldn't try and do a few from time to time - I do think that it's easy to get fixated on finding them, and this can waste quite a bit of time.
Remember that a proportion of the people who make their blogs dofollow eventually get sick of all the comment spam and change their blogs back to nofollow. So if you've accumulated a dofollow blog list it will inevitably dwindle over time.
In any case a good comment (or 3) on a nofollow blog can reap greater SEO rewards. If you can find high traffic, quality blogs in your niche and write interesting, informative comments on them you'll get some clicks coming off the links anyway, and eventually pick up a few regular readers. But there's a good chance you'll also get the interest of the person on whose blog you've commented. He or she may may well write a post about your site with a link back, and possibly even put you on their blogroll. Needless to say, these are usually dofollow backlinks. (And blogroll or panel links are sitewide, which are even more powerful.)
So, the best comment strategy is to focus on finding good, relevant blogs, then write good relevant comments on them! Can't go wrong with that.